How bank business models relate with risk?: The case of Portugal in times of financial crisis

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Using customer lifetime value to improve the prediction of bank deposit subscription in telemarketing campaigns

Customer lifetime value (LTV) enables using client characteristics, such as recency, frequency and monetary (RFM) value, to describe the value of a client through time in terms of profitability. We present the concept of LTV applied to telemarketing for improving the return-on-investment, using a recent (from 2008 to 2013) and real case study of bank campaigns to sell long- term deposits. The goal was to benefit from past contacts history to extract additional knowledge. A total of twelve LTV input variables were tested, un- der a forward selection method and using a realistic rolling windows scheme, highlighting the validity of five new LTV features. The results achieved by our LTV data-driven approach using neural networks allowed an improvement up to 4 pp in the Lift cumulative curve for targeting the deposit subscribers when compared with a baseline model (with no history data). Explanatory knowledge was also extracted from the proposed model, revealing two highly relevant LTV features, the last result of the previous campaign to sell the same product and the frequency of past client successes. The obtained results are particularly valuable for contact center companies, which can improve pre- dictive performance without even having to ask for more information to the companies they serve.

Development of a rehabilitation system for the red mud waste generated at the Aughinish Alumina Bayer Plant

Aughinish Alumina Limited (AAL) have an obligation by terms of their Integrated Pollution Control Licence (IPCL) and Planning Permission to establish vegetation on the red mud stack at their plant at Aughinish, Co. Limerick. High pH and high exchangeable sodium percentage are the main known factors limiting the establishment of vegetation on red mud. Gypsum addition has been known to assist in alleviating these problems in other countries. However, there is no experience or published information on red mud rehabilitation under Irish conditions. Red mud with organic and inorganic waste-derived ameliorants as well as selected grassland species were examined under laboratory controlled environment conditions as well as in field plot trials. Also, in order that it would be economically achievable, the research utilised locally available waste products as the organic amendments. Screening trials found that physical constraints severely limit plant germination and growth in red mud. Gypsum addition effectively lowers pH, exchangeable sodium percentage and the availability of A1 and Fe in the mud. A strong relationship between pH, ESP and A1 levels was also found. Gypsum addition increased germination percentages and plant growth for all species investigated. Greenhouse trials demonstrated that organic wastes alone did not greatly improve conditions for plant growth but when used in conjunction with gypsum plant performances for all species investigated was significantly increased. There was a high mortality rate for grasses in non-gypsum treatments. An emerging trend of preferential iron uptake and calcium deficiency in non-gypsum treatments was found at pot screening stage. Species also displayed manganese and magnesium deficiencies.

Designing the Optimal Conservativeness of the Central Bank

In this paper we propose a new measure of the degree of conservativeness of an inde- pendent central bank and we derive the optimal value from the social welfare perspective. We show that the mere appointment of an independent central bank is not enough to achieve lower inflation, which may explain the mixed results found between central bank independence and inflation in the empirical literature. Further, the optimal central bank should not be too conservative. For instance, we will show that in some circumstances it will be optimal that the central bank is less conservative than society in the Rogoff sense. JEL classification: E58, E63. Keywords: Central bank; Conservativeness; Independence.

Malaria seroprevalence in blood bank donors from endemic and non-endemic areas of Venezuela

In Venezuela, a total of 363,466 malaria cases were reported between 1999-2009. Several states are experiencing malaria epidemics, increasing the risk of vector and possibly transfusion transmission. We investigated the risk of transfusion transmission in blood banks from endemic and non-endemic areas of Venezuela by examining blood donations for evidence of malaria infection. For this, commercial kits were used to detect both malaria-specific antibodies (all species) and malaria antigen (Plasmodium falciparum only) in samples from Venezuelan blood donors (n = 762). All samples were further studied by microscopy and polymerase chain reaction (PCR). The antibody results showed that P. falciparum-infected patients had a lower sample/cut-off ratio than Plasmodium vivax-infected patients. Conversely, a higher ratio for antigen was observed among all P. falciparum-infected individuals. Sensitivity and specificity were higher for malarial antigens (100 and 99.8%) than for antibodies (82.2 and 97.4%). Antibody-positive donors were observed in Caracas, Ciudad Bolívar, Puerto Ayacucho and Cumaná, with prevalences of 1.02, 1.60, 3.23 and 3.63%, respectively. No PCR-positive samples were observed among the donors. However, our results show significant levels of seropositivity in blood donors, suggesting that more effective measures are required to ensure that transfusion transmission does not occur.

Latest Miocene - Pliocene Larger Foraminifera and depositional environments of the carbonate bank of La Désirade Island, Guadeloupe (French Antilles)

In this paper we present first results of the study of planktonic Foraminifera, large benthic Foraminifera and carbonate facies of La Désirade, aiming at a definition of the age and depositional environments of the Neogene carbonates of this island. The study of planktonic Foraminifera from the Detrital Offshore Limestones (DOL) of the Anciènne Carrière allows to constrain the biochronology of this formation to the lower Zone N19 and indicates a latest Miocene to early Pliocene (5.48 - 4.52 Ma) age. Large benthic Foraminifera were studied both as isolated and often naturally split specimens from the DOL, and in thin sections of limestones from the DOL and the Limestone Table (LT). The assemblages of Foraminifera include Nummulitidae, Amphisteginidae, Asterigerinidae, Peneroplidae, Soritidae, Rotalidae (Globigerinidae: Globigerinoides, Sphaeroidenellopsis, Orbulina) and incrusting Foraminifera (Homotrema and Sporadotrema). The genera Amphistegina, Archaias and Operculina are discussed. Concerning the Nummulitidae we include both "Paraspiroclypeus" chawneri and "Nummulites" cojimarensis, as well as a newly described species, Operculina desiradensis new species, in the genus Operculina, because the differences between these 3 species are rather on the specific than the generic level, while their morphology, studied by SEM, is compatible with the definition of the genus Operculina (D'Orbigny1826, emend. Hottinger 1977). The three species can be easily distinguished on the basis of their differences in spiral growth: while O. desiradensis has an overall logarithmic spiral growth, O. cojimarensis and especially O. chawneri show a tighter and more geometric spiral growth. O. cojimarensis and O. chawneri were originally described from Cuba in outcrops originally dated as Oligocene and later redated as early Pliocene. Therefore, O. chawneri was considered until now as restricted to the early Pliocene. However, in the absence of a detailed morphometric and biostratigraphic study of the Caribbean Neogene nummulitids, it is difficult to evaluate the biochronologic range of these species.The history of the carbonates begins with the initial tectonic uplift and erosion of the Jurassic igneous basement of La Désirade, that must have occurred at latest in late Miocene times, when sea-level oscillated around a long term stable mean. The rhythmic deposition of the Désirade Limestone Table (LT) can be explained by synsedimentary subsidence in a context of rapidly oscillating sea-level due to precession-driven (19-21 kyr) glacio-eustatic sea-level changes during the latest Miocene- Pliocene. Except for a thin reef cap present at the eastern edge of the LT, no other in-place reefal constructions have been observed in the LT. The DOL of western Désirade are interpreted as below wave base gravity deposits that accumulated beneath a steep fore-reef slope. They document the mobilisation of carbonate material (including Larger Foraminifera) from an adjacent carbonate platform by storms and their gravitational emplacement as debris and grain flows. The provenance of both the reefal carbonate debris and the tuffaceous components redeposited in the carbonates of La Désirade must be to the west, i. e. the carbonate platforms of Marie Galante and Grande Terre.

Novel methicillin-resistant coagulase-negative Staphylococcus clone isolated from patients with haematological diseases at the Blood Bank Centre of Amazon, Brazil

Methicillin-resistant Staphylococcus remains a severe public health problem worldwide. This research was intended to identify the presence of methicillin-resistant coagulase-negative staphylococci clones and their staphylococcal cassette chromosome mec (SCCmec)-type isolate from patients with haematologic diseases presenting bacterial infections who were treated at the Blood Bank of the state of Amazonas in Brazil. Phenotypic and genotypic tests, such as SCCmec types and multilocus sequence typing (MLST), were developed to detect and characterise methicillin-resistant isolates. A total of 26 Gram-positive bacteria were isolated, such as: Staphylococcus epidermidis (8/27), Staphylococcus intermedius (4/27) and Staphylococcus aureus (4/27). Ten methicillin-resistant staphylococcal isolates were identified. MLST revealed three different sequence types: S. aureus ST243, S. epidermidis ST2 and a new clone of S. epidermidis, ST365. These findings reinforce the potential of dissemination presented by multi-resistant Staphylococcus and they suggest the introduction of monitoring actions to reduce the spread of pathogenic clonal lineages of S. aureus and S. epidermidis to avoid hospital infections and mortality risks.

How does ownership structure invfluence bank risk? Analyzing the role of managerial incentives

This paper analyzes how ownership concentration and managerial incentives influences bank risk for a large sample of US banks over the period 1997-2007. Using 2SLS simultaneous equations models, we show that ownership concentration has a positive total effect on bank risk. This is the result of a positive direct effect, which reflects monitoring and opportunistic behavior, and a negative indirect effect, which works through the design of managerial incentive contracts and reflects shareholder preferences toward risk. Large shareholders reduce bank risk by reducing the sensitivity of CEO wealth to stock volatility (Vega) and by increasing the CEO pay-performance sensitivity (Delta). In addition, we show that the direct and indirect effect of ownership concentration on bank risk depends on the type of the largest shareholder (a family, a bank, a corporation or an institutional investor), as well as, on the total shareholding held by each type as a group. Our results suggest that the positive relation between ownership concentration and risk is not the result of preferences towards more risk. Rather, they point at opportunistic behavior of large shareholders.

The Speed of the Financial Revolution: Evidence from Hoare’s Bank

Finance is important for development, yet the onset of modern economic growth in Britain lagged the British financial revolution by over a century. We present evidence from a new West-End London private bank to explain this delay. Hoare’s Bank loaned primarily to a highly select and well-born clientele, although it did not discriminate against “unknown” borrowers in the early 18th century. It could not extend credit more generally because of government restrictions (usury limits) and policies (frequent wars). Britain’s financial development could have aided growth substantially, had it not been for the rigidities and turmoil introduced by government interference.

Is bank debt special for the transmission of monetary policy? Evidence from the stock market

We combine existing balance sheet and stock market data with two new datasets to studywhether, how much, and why bank lending to firms matters for the transmission of monetarypolicy. The first new dataset enables us to quantify the bank dependence of firms precisely,as the ratio of bank debt to total assets. We show that a two standard deviation increase inthe bank dependence of a firm makes its stock price about 25% more responsive to monetarypolicy shocks. We explore the channels through which this effect occurs, and find that thestock prices of bank-dependent firms that borrow from financially weaker banks display astronger sensitivity to monetary policy shocks. This finding is consistent with the banklending channel, a theory according to which the strength of bank balance sheets mattersfor monetary policy transmission. We construct a new database of hedging activities andshow that the stock prices of bank-dependent firms that hedge against interest rate riskdisplay a lower sensitivity to monetary policy shocks. This finding is consistent with aninterest rate pass-through channel that operates via the direct transmission of policy ratesto lending rates associated with the widespread use of floating-rates in bank loans and creditline agreements.

The Conservativeness of the Central Bank when Institutional Quality is Poor

We propose an extension of Alesina and Tabellini 's model (1987) to include corruption, which is understood as the presence of weak institutions collecting revenue through formal tax channels. This paper analyses how conservative should an independent central bank be when the institutional quality is poor. When there are no political distortions, we show that the central bank has to be more conservative than the government, except with complete corruption. In this particular case, the central bank should be as conservative as the government. Further, we obtain that the relationship between the optimal relative degree of conservativeness of the central bank and the degree of corruption is affected by supply shocks. Concretely, when these shocks are not important, the central bank should be less conservative if the degree of corruption increases. However, this result may not hold when the shocks are relevant. JEL classi fication: D6, D73, E52, E58, E62, E63. Keywords: Central Bank Conservativeness; Corruption; Fiscal Policy; Monetary Policy; Seigniorage.

Paleohydrological Reconstruction from Late Holocene Records in Interdune Lakes (N'Guigmi, Northern Bank of the Lake Chad, Niger)

An old erg covers the northern part of the Lake Chad basin. This dune landform allowed the formation of many inter- dune ponds of various sizes. Still present in certain zones where the groundwater level is high (e.g. Kanem, southern Manga), these ponds formed in the past a vast network of lacustrine microsystems, as shown by the nature and the dis- tribution of their deposits. In the Manga, these interdune deposits represent the main sedimentary records of the Holo- cene environmental succession. Their paleobiological (pollens, diatoms, ostracods) and geochemical (δ18O, δ13C, Sr/ Ca) contents are often the basis for paleoenvironmental reconstruction. On the other hand, their sedimentological char- acters are rarely exploited. This study of palustro-lacustrine deposits of the Holocene N'Guigmi lake (northern bank of the Lake Chad; Niger) is based on the relationships between the sedimentological features and the climato-hydrological fluctuations. The mineralogical parameters (e.g. calcium carbonate content, clay mineralogy) and the nature of autoch- thonous mineralization (i.e. amorphous silica, clays, calcium carbonates) can be interpreted using a straightforward hy- dro-sedimentary model. Established to explain the geochemical dynamics of Lake Chad, this model is based on a bio- geochemical cycle of the main elements (i.e. silicium, calcium) directly controlled by the local hydrological balance (i.e. rainfall/evaporation ratio). All these results show that a detailed study of sedimentological features can provide impor- tant paleohydrological informations about the regional aridification since ca 6500 14C BP.

Monitoring bank performance in the presence of risk

This paper proposes a managerial control tool that integrates risk in efficiency scores. Building on existing efficiency specifications, our proposal reflects the real banking technology and accurately models the relationship between desirable and undesirable outputs. Specifically, the undesirable output is defined as non-performing loans to capture credit risk, and is linked only to the relevant dimension of the output set. We empirically illustrate how our efficiency measure functions for managerial control purposes. The application considers a unique dataset of Costa Rican banks during 1998-2012. Efficiency scores? implications are mostly discussed at bank-level, and their interpretations are enhanced by using accounting ratios. We also show the usefulness of our tool for corporate governance by examining performance changes around executive turnover. Results confirm that appointing CEOs from outside the bank significantly improves performance, thus suggesting the potential benefits of new organisational practices.